what does it does? When I click on this command in the Tools menu doesn't happen nothing.

If you ever find all that underlined errors shown in the editor too annoying, you may disable them in the Tools->Settings. While they are disabled you still can run error analysis manually, it's what you asked about. Additionally, if you run Tools->Instant Error Analysis, PHPED dumps out all the findings in the Log window.

ah ok now I understand

I thinked it was a way to run for example "php -l <script>".

php -l does the syntax check only of the script

Does the instant error analysis find all the errors that php -l finds?

It finds most if not all compile-time errors.